variance swap replication: discrete or continuous?
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ID: 192002
2018
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Abstract
The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication price is more relevant.
| Reference Key |
floch2018journalvariance
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| Authors | ;Fabien Le Floc’h |
| Journal | Resuscitation |
| Year | 2018 |
| DOI |
10.3390/jrfm11010011
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